Agent-based model with multi-agent RL shows market-maker profitability trends upward overall with rising aggregate market informedness as price-discovery benefits offset adverse-selection costs.
Universal price impact functions of individual trades in an order-driven market
4 Pith papers cite this work. Polarity classification is still indexing.
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UNVERDICTED 4representative citing papers
Robust HVA is the worst-case expected loss in a relative-entropy ball around loss distributions from simulated rebalancing and unwind trades under different no-trade-band rules.
Develops a singular stochastic control model for optimal execution with stochastic resilience dynamics and regime-switching liquidity, proving the value function is the unique viscosity solution to a system of variational HJB inequalities.
Modular network structure in the BChS opinion model produces robust intragroup ordering without global consensus and anti-ferromagnetic ordering between modules.
citing papers explorer
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Market Informedness and Market-Maker Profitability: The Trade-Off Between Adverse Selection and Price Discovery
Agent-based model with multi-agent RL shows market-maker profitability trends upward overall with rising aggregate market informedness as price-discovery benefits offset adverse-selection costs.
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Robust Hedging Valuation Adjustment under Liquidity--Demand Stress
Robust HVA is the worst-case expected loss in a relative-entropy ball around loss distributions from simulated rebalancing and unwind trades under different no-trade-band rules.
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Optimal Execution under Liquidity Uncertainty
Develops a singular stochastic control model for optimal execution with stochastic resilience dynamics and regime-switching liquidity, proving the value function is the unique viscosity solution to a system of variational HJB inequalities.
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Biswas-Chatterjee-Sen (BChS) kinetic exchange opinion model on modular networks
Modular network structure in the BChS opinion model produces robust intragroup ordering without global consensus and anti-ferromagnetic ordering between modules.